RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix F: Estimated Forward Rates for the Unfiltered Model

Jonathan Hambur and Richard Finlay

February 2018

Figure F1: Expected Future Nominal Interest Rates
x-year-ahead
Figure F1: Expected Future Nominal Interest Rates
Figure F2: Expected Future Real Interest Rates
x-year-ahead
Figure F2: Expected Future Real Interest Rates
Figure F3: Expected Future Inflation Rates
x-year-ahead
Figure F3: Expected Future Inflation Rates
Figure F4: Nominal Term Premia
x-year-ahead
Figure F4: Nominal Term Premia
Figure F5: Real Term Premia
x-year-ahead
Figure F5: Real Term Premia
Figure F6: Inflation Risk Premia
x-year-ahead
Figure F5: Real Term Premia
Figure F7: Inflation Expectations
x-year-ahead, survey and model
Figure F7: Inflation Expectations

Note: Ten-year-ahead survey observations are taken as five-year five-year forward expectations

Sources: Authors' calculations; Consensus Economics